Avengers: Age of Ultron
Although bringing Thanos to the MCU was Joss Whedon's idea, he wasn't interested in utilizing him as the main villain of the sequel; he had already decided on Ultron, the sentient AI with a major chip on its shoulder. Still, the film managed to further the story of the Infinity Stones by revealing Loki's scepter from the first Avengers to actually contain the Mind Stone, which is used to give life to Ultron and then Vision, the artificial intelligence formerly known as Jarvis. There's also the scenes with Thor, who ends the film setting off on a quest to seek out the Infinity Stones himself, leading directly to Thor: Ragnarok.
Unlike most of Phase Two, Avengers: Age of Ultron only has one post-credits scene, but it's a doozy, if something of a non-sequitur for the events of the film. The scene opens with the Infinity Gauntlet, not in Odin's treasure vault, but in some type of high-tech storage device. Thanos retrieves the gauntlet and puts it on, remarking, "Fine... I'll do it myself."
After Guardians of the Galaxy, Thanos got a little bit of flak for his minor role in the film, and essentially getting usurped by Ronan the Accuser. Even the Team Thor short based on Captain America: Civil War pokes fun at Thanos when Thor describes "the man in the floating chair" as "Purple," armed with "a magic glove," and possessing the character trait of "doesn't like standing up."
Guardians of the Galaxy Vol 2
While Thanos doesn't make a direct appearance in Guardians of the Galaxy Vol 2, his presence looms in the background of the conflict between Gamora and her sister, Nebula. Both were orphans taken in by Thanos to be his personal bodyguards, and both spent their youth being forced to fight each other for his amusement. Every time, Gamora defeated Nebula, and every time, Thanos punished her failure by adding cyborg parts to her increasingly artificial body.
During the events of Vol 2, the sisters have an emotional breakthrough and reach a certain degree of mutual understanding. Nebula and Gamora reconcile, though Nebula refuses to join the Guardians crew. Instead, she sets off on a mission of revenge, aiming to kill her evil adoptive father once and for all.
Nebula is expected to play a large role in Avengers: Infinity War, and audiences are hyped to see her and Gamora teaming up to take on Thanos in a two-on-one melee battle. If she somehow manages to survive the film (and Avengers 4), perhaps she'll join the ranks of the Guardians of the Galaxy in time for Vol 3!
Thor: Ragnarok marked a significant tonal shift for the Asgardian corner of the MCU, playing out more like a goofy comedy than an apocalypse movie, but it nevertheless moved forward with the story of the Infinity Stones and Thanos' behind-the-scenes hunt for their power. The first scene sees Thor lamenting the fact that he went out in search of the remaining Stones (as seen in the ending of Age of Ultron), but failed to find any.
Elsewhere in the film, when Hela, the Goddess of Death, raids Odin's treasure room, she comes across the Infinity Gauntlet fleetingly seen in the first Thor movie. She humorously knocks over the stone-studded glove, dismissing it as "fake," and putting an end to over six years of fan theories spun out of the subtle Easter egg.
Near the end of the story, when Loki goes to revive the ancient demon, Surtur, thus triggering Ragnarok and the destruction of Asgard, he stops briefly to give a quick look at the Tesseract, the Infinity Stone he had stolen in The Avengers and used to power his portal above the streets of Manhattan. There's little doubt in the minds of viewers that he pilfered the priceless artifact, which will surely play a key role in Infinity War, since it is also known as the Space Stone, one of the coveted Infinity Gems.
Finally, the post-credits scene features Thor and Loki sitting in their ship full of Asgardian refugees and discussing the future of their people when they are intercepted by a much larger spacecraft. The camera cuts to black before the viewer gets a chance to see who may be commanding the imposing space vehicle, but it's a sure bet that it belongs to Thanos, or at least one of his infamous Black Order.
Never before has a film series teased its main villain for this long, over so many movies, before finally placing him front and center in an epic action-adventure of unprecedented scale. The closest comparison might be Blofeld from the James Bond movies, who appeared as an unseen figure lurking in the background of 1963's From Russia with Love and 1965's Thunderball before finally making his formal grand debut in 1967's You Only Live Twice, played by the great Donald Pleasance.
By comparison, Thanos made his first legitimate appearance in the MCU back in 2012's The Avengers before slowly gaining prominence in Guardians of the Galaxy and Age of Ultron. Infinity War is a 2018 release, meaning fans have been waiting six years – and a dozen films – to see Thanos fighting against Earth's Mightiest Heroes. Hopefully, Marvel went to great lengths to make sure it was worth the wait.